Search Results - subject:"Normal approximation"

Sensitivity of risk measures with respect to the normal approximation of total claim distributions

Krätschmer, Volker; Zähle, Henryk - 2010

) insurance collective is the normal approximation. In this article, we investigate the error made when the normal approximation …

Persistent link: https://www.econbiz.de/10010270712

Log-normal approximation of the equity premium in the production model

Heer, Burkhard; Maußner, Alfred - 2010

The conditional equity premium in the model with production is often approximated by assuming a jointly log-normal distribution of the marginal rate of substitution in consumption and the marginal productivity of capital. We show that, for standard parameterization, this premium is about one...

Persistent link: https://www.econbiz.de/10010275855

Sensitivity of risk measures with respect to the normal approximation of total claim distributions

Krätschmer, Volker; Zähle, Henryk - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2010

) insurance collective is the normal approximation. In this article, we investigate the error made when the normal approximation …

Persistent link: https://www.econbiz.de/10008527526

Log-Normal Approximation of the Equity Premium in the Production Model

Heer, Burkhard; Maussner, Alfred - CESifo - 2010

Persistent link: https://www.econbiz.de/10008833923

simsum: Analyses of simulation studies including Monte Carlo error

White, Ian R. - In: Stata Journal 10 (2010) 3, pp. 369-385

A new Stata command, simsum, analyzes data from simulation studies. The data may comprise point estimates and standard errors from several analysis methods, possibly resulting from several different simulation settings. simsum can report bias, coverage, power, empirical standard error, relative...

Persistent link: https://www.econbiz.de/10008677202

Confidence Intervals for True Scores Using the Skew-Normal Distribution

García-Pérez, Miguel A. - In: Journal of Educational and Behavioral Statistics 35 (2010) 6, pp. 762-773

intervals (CIs) for true raw scores determined with the Score methodâ€”which uses the normal approximation to the binomial … article thus evaluates the benefits of using the skew-normal approximation for interval estimation of true scores. Three … different CIs for true scores based on the skew-normal approximation are considered, and a simulation study is conducted whose …

Persistent link: https://www.econbiz.de/10011138713

A fast EM algorithm for fitting joint models of a binary response and multiple longitudinal covariates subject to detection limits

Bernhardt, Paul W.; Zhang, Daowen; Wang, Huixia Judy - In: Computational Statistics & Data Analysis 85 (2015) C, pp. 37-53

Joint modeling techniques have become a popular strategy for studying the association between a response and one or more longitudinal covariates. Motivated by the GenIMS study, where it is of interest to model the event of survival using censored longitudinal biomarkers, a joint model is...

Persistent link: https://www.econbiz.de/10011191014

Functional data analysis with increasing number of projections

Fremdt, Stefan; Horváth, Lajos; Kokoszka, Piotr; … - In: Journal of Multivariate Analysis 124 (2014) C, pp. 313-332

Functional principal components (FPC’s) provide the most important and most extensively used tool for dimension reduction and inference for functional data. The selection of the number, d, of the FPC’s to be used in a specific procedure has attracted a fair amount of attention, and a number...

Persistent link: https://www.econbiz.de/10011041914

On a general class of probability distributions and its applications

Mak, Tak; Nebebe, Fassil - In: Computational Statistics 28 (2013) 5, pp. 2211-2230

standardized sample statistic is approximately an UIC distribution, which provides a much closer approximation than the normal … approximation in small to medium sample sizes. Applications in the bootstrap, such as estimation of the variance of sample quantiles …

Persistent link: https://www.econbiz.de/10010998458

On computing the distribution function for the Poisson binomial distribution

Hong, Yili - In: Computational Statistics & Data Analysis 59 (2013) C, pp. 41-51

The Poisson binomial distribution is the distribution of the sum of independent and non-identically distributed random indicators. Each indicator follows a Bernoulli distribution and the individual probabilities of success vary. When all success probabilities are equal, the Poisson binomial...

Persistent link: https://www.econbiz.de/10010595097